Advanced Search
MyIDEAS: Login

Estrategias Optimas De Cobertura En Presencia De Incertidumbre En Costos Y Cantidad

Contents:

Author Info

  • AUGUSTO CASTILLO R.

    ()
    (Escuela de Administración, Pontificia Universidad Católica de Chile)

  • RAFAEL AGUILA

    ()
    (Escuela de Administración, Pontificia Universidad Católica de Chile)

Abstract

This paper discusses how to achieve the optimal hedging of a cash flow when facing price risk of the product the company sells, when we are also in the presence of cost and quantity uncertainty. We present an analytical solution to the optimal hedging strategy in the general case and in some particular situations. We also obtain an expression to measure the efficiency of this hedging strategy. We identify the key parameters affecting the optimal hedging strategy, which are the volatilities of the random variables considered and the correlation coefficients among them. Finally we figure out how those parameters affect the optimal hedging strategy when the random variables present log normal distributions.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://eacc10.puc.cl/files/ABT/Contenidos/Vol-8-N2/Aguila.pdf
Download Restriction: no

Bibliographic Info

Article provided by Escuela de Administracion. Pontificia Universidad Católica de Chile. in its journal ABANTE.

Volume (Year): 8 (2005)
Issue (Month): 2 ()
Pages: 88-110

as in new window
Handle: RePEc:pch:abante:v:8:y:2005:i:2:p:88-110

Contact details of provider:
Web page: http://eacc10.puc.cl/RePEc/pch/
More information through EDIRC

Order Information:
Email:

Related research

Keywords: Hedging; Quantity Uncertainty; Chile;

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Kawai, Masahiro, 1983. "Spot and Futures Prices of Nonsotrable Commodities under Rational Expectations," The Quarterly Journal of Economics, MIT Press, vol. 98(2), pages 235-54, May.
  2. Bessembinder, H., 1989. "Forward Contracts And Firm Value: Investment Incentive And Contracting Effects," Papers 89-06, Rochester, Business - Managerial Economics Research Center.
  3. Moschini, GianCarlo & Lapan, Harvey E., 1995. "Hedging Role of Options and Futures Under Joint Price, Basis and Production Risk, The," Staff General Research Papers 5137, Iowa State University, Department of Economics.
  4. Rolfo, Jacques, 1980. "Optimal Hedging under Price and Quantity Uncertainty: The Case of a Cocoa Producer," Journal of Political Economy, University of Chicago Press, vol. 88(1), pages 100-116, February.
  5. Castillo, Augusto & Lefort, Fernando, 2003. "Protección contra la exposición del tipo de cambio a largo plazo con contratos de futuros a corto plazo. El caso de los contratos forward en UF Chilenas/dólares," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(279), pages 423-456, julio-sep.
  6. Antonio S. Mello & John E. Parsons, 1995. "Maturity Structure Of A Hedge Matters: Lessons From The Metallgesellschaft Debacle," Journal of Applied Corporate Finance, Morgan Stanley, vol. 8(1), pages 106-121.
  7. Bhagwan Chowdhry, 1995. "Corporate Hedging of Exchange Risk When Foreign Currency Cash Flow Is Uncertain," Management Science, INFORMS, vol. 41(6), pages 1083-1090, June.
  8. Newbery, David M, 1989. "The Theory of Food Price Stabilisation," Economic Journal, Royal Economic Society, vol. 99(398), pages 1065-82, December.
  9. Kerkvliet, Joe & Moffett, Michael H., 1991. "The Hedging of an Uncertain Future Foreign Currency Cash Flow," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 26(04), pages 565-578, December.
  10. Anderson, Ronald W & Danthine, Jean-Pierre, 1983. "Hedger Diversity in Futures Markets," Economic Journal, Royal Economic Society, vol. 93(37), pages 370-89, June.
  11. Moschini, Giancarlo & Lapan, Harvey, 1995. "The Hedging Role of Options and Futures under Joint Price, Basis, and Production Risk," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 36(4), pages 1025-49, November.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Rodrigo Alfaro & Natán Goldberger, 2012. "Cubrir o no Cubrir: ¿Ese es el Dilema?," Working Papers Central Bank of Chile 662, Central Bank of Chile.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:pch:abante:v:8:y:2005:i:2:p:88-110. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Gimena Pardo).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.